Three essays on trend following strategies.

Summary Trend-following strategies have met with strong interest from institutional investors in recent years, due in particular to their good performance during the economic and financial crisis of 2008. The years 2016 to 2018 have reshuffled the deck, with performance deemed poor by many clients. This thesis focuses on the different characteristics of trend-following strategies, namely performance, risk and execution costs, and proposes new ways to approach these topics. Chapter 1 explains the difference in performance between hedge fund styles by confirming the presence of trends within the CTA and Global Macro strategies. The insurance nature of this strategy is confirmed within all types of hedge funds. Chapter 2 proposes a new decomposition of the risk associated with trend-following strategies into a common component and a specific component. The extraction of a systematic risk factor and its addition to the standard factor models allows us to better explain the performance of hedge fund styles in a different way than in chapter 1. Finally, chapter 3 addresses the issue of the execution of a trend following strategy. The cost paid by the investor, i.e. the cost associated with managing the portfolio, is not only a function of the individual liquidity of the assets handled but also depends on the allocation decisions made by the manager to meet the fund's performance and risk objectives.